Sometimes district heating and electricity generation does combine though:

> Wärtsilä’s combined power generation and heat recovery plant offering comprises solutions for combined heat and power (CHP) including dynamic district heating (DDH), district cooling and power (DCAP) and trigeneration for applications that require both heating and cooling.

https://www.wartsila.com/energy/engine-power-plant-solutions...

Not always, but as the sibling noted, there are plenty of combined heat and power plants. They recover as much of the energy as possible from the exhaust gas streams and run pretty efficiently.